Peramalan Return Portofolio Saham Optimal Pada Indeks SRI-KEHATI Tahun 2023

Putri, Tari Aisyah (2024) Peramalan Return Portofolio Saham Optimal Pada Indeks SRI-KEHATI Tahun 2023. Other thesis, Institut Tekonologi Sepuluh Nopember.

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Abstract

Jumlah investor di pasar modal Indonesia terus meningkat, mencerminkan minat masyarakat yang semakin tinggi dalam berinvestasi saham. BEI menawarkan berbagai indeks saham salah satunya adalah indeks SRI-KEHATI. Investasi pada indeks saham SRI KEHATI memberikan kinerja yang kompetitif sambil mendukung praktik bisnis berkelanjutan. Namun, terdapat masalah, seperti kekhawatiran investor terhadap kinerja finansial yang dipengaruhi oleh kebijakan ESG. Kesadaran akan masalah tersebut penting bagi investor dalam membuat keputusan investasi. Penelitian ini fokus pada analisis pembentukan portofolio saham optimal pada indeks SRI-KEHATI menggunakan model Arbitrage Pricing Theory dan Portofolio Markowitz. Selanjutnya, dilakukan peramalan return portofolio saham optimal dengan mempertimbangkan volatilitas untuk meramalkannya secara akurat. Hasil analisis menunjukkan bahwa pada periode Februari 2015 hingga September 2023 saham ANTM, BBCA, BBNI, BMRI, ICBP, SIDO, dan UNTR memiliki expected return di atas risk free rate dan dari ketujuh saham tersebut, empat di antaranya yaitu saham ANTM, BBCA, BMRI, dan SIDO dinilai undervalued. Kemudian, portofolio saham optimal yang terbentuk yaitu dengan pembobotan ANTM 1,99%, BBCA 72,33%, BMRI 13,98%, dan SIDO 11,71%, yang menghasilkan expected return sebesar 12,40% dengan risiko portofolio sebesar 47,67%. Model terbaik untuk meramalkan return portofolio saham optimal merupakan model ARIMA (1,1,0) yang menghasilkan nilai MAPE sebesar 10,777% dan hasil peramalan selama 10 periode kedepan menunjukkan bahwa return portofolio saham optimal terendah pada bulan Desember 2022 sebesar 4.595% dan return portofolio saham tertinggi pada bulan Januari 2023 sebesar 4.752%.
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The number of investors in the Indonesian capital market continues to increase, reflecting the growing public interest in investing in stocks. The IDX offers various stock indices, one of which is the SRI-KEHATI index. Investment in the SRI KEHATI stock index provides competitive performance while supporting sustainable business practices. However, there are issues, such as investors' concerns about financial performance being affected by ESG policies. Awareness of such issues is important for investors in making investment decisions. This research focuses on analyzing the formation of the optimal stock portfolio on the SRI-KEHATI index using the Arbitrage Pricing Theory model and the Markowitz Portfolio. Furthermore, optimal stock portfolio return forecasting is carried out by considering volatility to forecast it accurately. The results of the analysis show that in the period February 2015 to September 2023, ANTM, BBCA, BBNI, BMRI, ICBP, SIDO, and UNTR stocks have expected returns above the risk free rate and of the seven stocks, four of them, namely ANTM, BBCA, BMRI, and SIDO stocks, are considered undervalued. Then, the optimal stock portfolio formed is with a weighting of ANTM 1.99%, BBCA 72.33%, BMRI 13.98%, and SIDO 11.71%, which results in an expected return of 12.40% with a portfolio risk of 47.67%. The best model for forecasting optimal stock portfolio returns is the ARIMA (1,1,0) model which produces a MAPE value of 10.777% and the forecasting results for the next 10 periods show that the lowest optimal stock portfolio return in December 2022 is 4,595% and the highest stock portfolio return in January 2023 is 4,752%.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	APT, Investasi Saham, Markowitz, Peramalan, Return Portofolio Saham, Forecasting, Stock Investment, Stock Portfolio Return
Subjects:	H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HG Finance > HG4915 Stocks--Prices
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Tari Aisyah Putri
Date Deposited:	18 Feb 2024 02:47
Last Modified:	18 Feb 2024 02:47
URI:	http://repository.its.ac.id/id/eprint/107315

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